Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Marco Bee, Debbie J. Dupuis, Luca Trapin
| Year of publication: |
March 2016
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|---|---|
| Authors: | Bee, Marco ; Dupuis, Debbie J. ; Trapin, Luca |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 36.2016, p. 86-99
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| Subject: | Realized volatility | High-frequency data | Extreme Value Theory | Value-at-Risk | Expected Shortfall | Risikomaß | Risk measure | Volatilität | Volatility | Ausreißer | Outliers | ARCH-Modell | ARCH model | Finanzmarkt | Financial market | Risikomanagement | Risk management | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Theorie | Theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.01.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011662757